Get all categories on site, whether custom post type or w/e. change parent array to '', to get all categories, including children.

get_all_categories_on_site.php

$args = array(
    'type'                     => 'post',
    'child_of'                 => 0,
    'parent'                   => 0,
    'orderby'                  => 'name',
    'order'                    => 'ASC',
    'hide_empty'               => 0,
    'hierarchical'             => 1,
    'exclude'                  => '',
    'include'                  => '',
    'number'                   => '',
    'taxonomy'                 => 'course',
    'pad_counts'               => false );
    $categories = get_categories( $args );

    foreach ($categories as $cat2) {
    echo $cat2->name.'</br>';
    }